Parametric
TABS Short-Term Municipal Bond Fund
April 30, 2022
Portfolio of Investments (Unaudited)
Tax-Exempt Municipal Obligations — 92.3% |
Security | Principal Amount (000's omitted) | Value | |
Education — 10.7% | |||
California State University, 5.00%, 11/1/24 | $ | 2,500 | $ 2,656,925 |
Connecticut Health and Educational Facilities Authority, (Sacred Heart University): | |||
5.00%, 7/1/25 | 30 | 32,033 | |
5.00%, 7/1/26 | 15 | 16,250 | |
Massachusetts College Building Authority, 5.00%, 5/1/30 | 600 | 692,772 | |
Massachusetts Development Finance Agency, (Harvard University), Green Bonds, 5.00%, 11/15/32(1) | 500 | 606,455 | |
New Jersey Educational Facilities Authority, (Princeton University), 5.00%, 7/1/22 | 3,495 | 3,516,389 | |
New York Dormitory Authority, (Rockefeller University), (SPA: JPMorgan Chase Bank, N.A.), 0.44%, 7/1/32(2) | 5,000 | 5,000,000 | |
Ohio Higher Educational Facility Commission, (Case Western Reserve University), 0.67%, (SIFMA + 0.23%), 12/1/26 (Put Date), 12/1/42(3) | 1,995 | 1,984,526 | |
Southwest Higher Education Authority, Inc., TX, (Southern Methodist University), 5.00%, 10/1/23 | 225 | 233,586 | |
University of Michigan, 4.00% to 4/1/24 (Put Date), 4/1/49 | 3,000 | 3,073,500 | |
University of New Mexico, (SPA: U.S. Bank, N.A.), 0.47%, 6/1/30(2) | 7,315 | 7,315,000 | |
University of Texas: | |||
5.00%, 8/15/24 | 1,000 | 1,056,540 | |
5.00%, 8/15/31 | 2,000 | 2,353,100 | |
Prerefunded to 8/15/22, 5.00%, 8/15/29 | 2,000 | 2,020,860 | |
$ 30,557,936 | |||
Electric Utilities — 1.3% | |||
Anaheim Housing and Public Improvements Authority, CA, Electric System Revenue, 5.00%, 10/1/28(1) | $ | 2,405 | $ 2,644,947 |
Denton, TX, Utility System Revenue, 5.00%, 12/1/26 | 1,000 | 1,104,160 | |
$ 3,749,107 | |||
Escrowed/Prerefunded — 7.5% | |||
Arizona, Certificates of Participation, Escrowed to Maturity, 5.00%, 10/1/24 | $ | 2,000 | $ 2,121,240 |
Illinois Development Finance Authority, (Regency Park): | |||
Escrowed to Maturity, 0.00%, 7/15/23 | 5,000 | 4,867,050 | |
Escrowed to Maturity, 0.00%, 7/15/25 | 5,750 | 5,286,090 | |
New York Dormitory Authority, (State University Dormitory Facilities), Prerefunded to 7/1/22, 5.00%, 7/1/26 | 135 | 135,817 | |
New York Dormitory Authority, Personal Income Tax Revenue, Escrowed to Maturity, 5.00%, 2/15/25 | 120 | 128,278 | |
Orange County School Board, FL, Prerefunded to 8/1/22, 5.00%, 8/1/26 | 5,000 | 5,044,950 |
Security | Principal Amount (000's omitted) | Value | |
Escrowed/Prerefunded (continued) | |||
Sales Tax Asset Receivable Corp., NY, Prerefunded to 10/15/24, 5.00%, 10/15/27 | $ | 1,500 | $ 1,594,200 |
Springfield School District No. 19, OR, Prerefunded to 6/15/25, 5.00%, 6/15/30 | 855 | 920,211 | |
Utah Transit Authority, Sales Tax Revenue, Prerefunded to 6/15/22, 5.00%, 6/15/25 | 1,220 | 1,225,404 | |
$ 21,323,240 | |||
General Obligations — 32.3% | |||
Alexandria, VA, 5.00%, 7/1/27 | $ | 200 | $ 224,378 |
Austin Independent School District, TX, (PSF Guaranteed), 4.00%, 8/1/32 | 5,000 | 5,399,950 | |
Bryan Independent School District, TX, (PSF Guaranteed), 4.00%, 2/15/33 | 2,270 | 2,426,539 | |
California: | |||
1.60%, 12/1/29 | 1,520 | 1,371,663 | |
5.00%, 3/1/29 | 1,415 | 1,605,247 | |
5.00%, 4/1/29 | 5,000 | 5,678,300 | |
Carlsbad Municipal School District, NM: | |||
2.00%, 8/1/32 | 1,650 | 1,426,639 | |
2.00%, 8/1/34 | 1,650 | 1,376,859 | |
Chaffey Joint Union High School District, CA, (Election of 2012), 0.00%, 8/1/22 | 155 | 154,448 | |
Chambers County Improvement District No. 1, TX, 2.00%, 9/1/26 | 970 | 922,305 | |
Cleveland Heights-University Heights City School District, OH, 0.00%, 12/1/23 | 150 | 144,216 | |
Connecticut: | |||
3.00%, 1/15/32 | 1,000 | 967,480 | |
3.00%, 6/1/32 | 2,250 | 2,172,420 | |
3.00%, 6/1/33 | 2,375 | 2,248,317 | |
Corpus Christi, TX: | |||
5.00%, 3/1/27 | 1,080 | 1,192,892 | |
5.00%, 3/1/28 | 1,135 | 1,270,712 | |
5.00%, 3/1/29 | 1,180 | 1,337,872 | |
5.00%, 3/1/30 | 1,250 | 1,432,950 | |
Delaware: | |||
5.00%, 3/1/31 | 5,000 | 5,898,750 | |
5.00%, 3/1/32 | 2,000 | 2,389,040 | |
Denton Independent School District, TX, (PSF Guaranteed), 0.00%, 8/15/24 | 3,000 | 2,832,600 | |
Edina, MN, 5.00%, 2/1/30 | 125 | 140,541 | |
Florida Board of Education, 5.00%, 6/1/22 | 8,415 | 8,440,077 | |
Hartnell Community College District, CA, (Election of 2002), 7.00%, (0.00% until 8/1/22), 8/1/34 | 85 | 99,256 | |
Henrico County, VA, 5.00%, 8/1/27 | 200 | 223,838 |
1
Parametric
TABS Short-Term Municipal Bond Fund
April 30, 2022
Portfolio of Investments (Unaudited) — continued
Security | Principal Amount (000's omitted) | Value | |
General Obligations (continued) | |||
Hutto Independent School District, TX, (PSF Guaranteed), 0.00%, 8/1/22 | $ | 525 | $ 523,115 |
Leander Independent School District, TX, (PSF Guaranteed), 0.00%, 8/15/22 | 700 | 696,871 | |
Massachusetts, 5.00%, 12/1/24 | 5,000 | 5,328,300 | |
Meramec Valley R-III School District, MO, 3.00%, 3/1/35 | 30 | 28,306 | |
Mercer County, NJ, 2.00%, 2/15/32 | 3,295 | 2,770,074 | |
Mountain View Whisman School District, CA, (Election of 2020): | |||
4.00%, 9/1/32 | 10 | 10,682 | |
4.00%, 9/1/33 | 25 | 26,521 | |
Mountain View-Los Altos Union High School District, CA: | |||
0.00%, 8/1/23 | 945 | 918,549 | |
0.00%, 8/1/24 | 900 | 848,844 | |
New York, NY: | |||
5.00%, 8/1/26 | 1,000 | 1,091,830 | |
5.00%, 8/1/30 | 3,000 | 3,423,870 | |
Oconee County, GA, 4.00%, 1/1/34 | 15 | 15,901 | |
Ohio, 5.00%, 12/15/23 | 1,000 | 1,045,010 | |
Oregon, 1.90%, 6/1/30 | 950 | 857,632 | |
Paradise Valley Unified School District No. 69, AZ, 5.00%, 7/1/22 | 2,080 | 2,092,730 | |
Ridgefield, CT, 5.00%, 7/15/22 | 2,425 | 2,443,236 | |
River Vale Township Board of Education, NJ: | |||
2.00%, 6/15/32 | 1,280 | 1,058,483 | |
2.00%, 6/15/33 | 1,300 | 1,047,488 | |
Rose Tree Media School District, PA, 5.00%, 4/1/27 | 1,000 | 1,092,670 | |
St. Helens School District No. 502, OR, 5.00%, (0.00% until 6/15/22), 6/15/30 | 880 | 1,008,938 | |
Sugar Land, TX, 5.00%, 2/15/23 | 1,105 | 1,132,559 | |
Texas Public Finance Authority, 5.00%, 10/1/22 | 100 | 101,464 | |
Utah, 5.00%, 7/1/22 | 3,915 | 3,939,156 | |
Washington, 4.00%, 7/1/27(1) | 2,700 | 2,880,738 | |
Wauwatosa School District, WI, 5.00%, 9/1/22 | 105 | 106,251 | |
West Valley-Mission Community College District, CA, 5.00%, 8/1/25 | 300 | 324,297 | |
Westlake, TX, 4.00%, 2/15/34 | 1,130 | 1,199,597 | |
Wylie Independent School District, TX, (PSF Guaranteed), 2.25% to 8/15/23 (Put Date), 8/15/41(4) | 4,525 | 4,486,175 | |
$ 91,876,576 | |||
Hospital — 11.4% | |||
Allegheny County Hospital Development Authority, PA, (UPMC), 1.14%, (SIFMA + 0.70%), 5/15/27 (Put Date), 11/15/47(3) | $ | 4,500 | $ 4,501,710 |
Security | Principal Amount (000's omitted) | Value | |
Hospital (continued) | |||
Cobb County Kennestone Hospital Authority, GA, (WellStar Health System, Inc.), 4.00%, 4/1/33 | $ | 90 | $ 91,629 |
Indiana Finance Authority, (Community Foundation of Northwest Indiana Obligated Group), 5.00%, 9/1/25 | 650 | 701,707 | |
Missouri Health and Educational Facilities Authority, (Mercy Health): | |||
5.00%, 6/1/26 | 2,500 | 2,708,925 | |
5.00%, 6/1/27 | 3,500 | 3,863,300 | |
New Jersey Health Care Facilities Financing Authority, (Virtua Health), (LOC: TD Bank, N.A.), 0.38%, 7/1/43(2) | 5,000 | 5,000,000 | |
New York Dormitory Authority, (Maimonides Medical Center), 4.00%, 8/1/31 | 350 | 358,589 | |
University of Colorado Hospital Authority, (SPA: TD Bank, N.A.), 0.45%, 11/15/39(2) | 7,725 | 7,725,000 | |
Wisconsin Health and Educational Facilities Authority, (Advocate Aurora Health Credit Group), 5.00% to 1/31/24 (Put Date), 8/15/54 | 6,000 | 6,305,880 | |
Wisconsin Health and Educational Facilities Authority, (Aspirus, Inc. Obligated Group), 5.00%, 8/15/34 | 1,000 | 1,134,700 | |
$ 32,391,440 | |||
Housing — 3.3% | |||
Connecticut Housing Finance Authority, 1.85%, 11/15/31 | $ | 390 | $ 339,924 |
Connecticut Housing Finance Authority, Social Bonds, 0.74%, (SIFMA + 0.30%), 11/15/24 (Put Date), 11/15/50(3) | 2,500 | 2,500,250 | |
New York Housing Finance Agency, Green Bonds, 2.75%, 11/1/22 | 2,205 | 2,215,342 | |
New York Housing Finance Agency, Sustainability Bonds, 1.10%, 5/1/26 | 625 | 583,281 | |
North Dakota Housing Finance Agency, (SPA: TD Bank, N.A.), 0.44%, 1/1/46(2) | 3,600 | 3,600,000 | |
$ 9,238,797 | |||
Insured - Electric Utilities — 2.5% | |||
Lower Colorado River Authority, TX: | |||
(AGM), 5.00%, 5/15/27 | $ | 1,380 | $ 1,527,798 |
(AGM), 5.00%, 5/15/28 | 2,285 | 2,566,398 | |
(AGM), 5.00%, 5/15/29 | 1,790 | 2,037,163 | |
(AGM), 5.00%, 5/15/30 | 960 | 1,102,973 | |
$ 7,234,332 | |||
Insured - General Obligations — 0.6% | |||
Ludington Area School District, MI, (BAM), 5.00%, 11/1/28(1) | $ | 1,475 | $ 1,662,443 |
$ 1,662,443 |
2
Parametric
TABS Short-Term Municipal Bond Fund
April 30, 2022
Portfolio of Investments (Unaudited) — continued
Security | Principal Amount (000's omitted) | Value | |
Insured - Water and Sewer — 0.1% | |||
Harris County Municipal Utility District No. 374, TX, (BAM), 3.00%, 9/1/26 | $ | 310 | $ 311,882 |
$ 311,882 | |||
Lease Revenue/Certificates of Participation — 7.5% | |||
California Public Works Board: | |||
5.00%, 8/1/29(1) | $ | 2,400 | $ 2,669,064 |
5.00%, 8/1/30(1) | 2,785 | 3,122,180 | |
5.00%, 8/1/31(1) | 2,560 | 2,892,646 | |
Colorado, (Rural Colorado), 5.00%, 12/15/25 | 6,000 | 6,512,160 | |
Malibu, CA: | |||
5.00%, 11/1/38 | 275 | 275,781 | |
5.00%, 11/1/43 | 225 | 225,639 | |
5.00%, 11/1/48 | 375 | 375,975 | |
Palm Beach County School Board, FL, 5.00%, 8/1/31 | 5,000 | 5,313,200 | |
$ 21,386,645 | |||
Other Revenue — 4.4% | |||
Hudson Yards Infrastructure Corp., NY, Green Bonds, 5.00%, 2/15/33 | $ | 2,700 | $ 3,147,471 |
Minnesota Municipal Gas Agency, (Liq: Royal Bank of Canada), 4.00% to 12/1/27 (Put Date), 12/1/52 | 3,500 | 3,614,765 | |
New York Dormitory Authority, Personal Income Tax Revenue, 5.00%, 3/15/35 | 5,000 | 5,681,700 | |
$ 12,443,936 | |||
Special Tax Revenue — 4.8% | |||
District of Columbia, Income Tax Revenue, 5.00%, 10/1/22 | $ | 1,500 | $ 1,522,215 |
New York City Transitional Finance Authority, NY, Future Tax Revenue, 5.00%, 11/1/23 | 1,000 | 1,042,260 | |
New York Dormitory Authority, Personal Income Tax Revenue: | |||
5.00%, 2/15/24 | 1,500 | 1,572,915 | |
5.00%, 2/15/25 | 50 | 53,389 | |
5.00%, 3/15/32 | 2,790 | 3,190,979 | |
New York Dormitory Authority, Sales Tax Revenue, 5.00%, 3/15/28 | 5,770 | 6,175,919 | |
$ 13,557,677 | |||
Transportation — 4.3% | |||
Florida Department of Transportation, 5.00%, 7/1/30(1) | $ | 2,250 | $ 2,609,685 |
Los Angeles Department of Airports, CA, (Los Angeles International Airport), 5.00%, 5/15/31 | 960 | 1,104,615 | |
New Hampshire, Turnpike System Revenue, 5.00%, 8/1/29(1) | 3,130 | 3,586,479 |
Security | Principal Amount (000's omitted) | Value | |
Transportation (continued) | |||
Triborough Bridge and Tunnel Authority, NY, 5.00%, 5/15/29(1) | $ | 2,400 | $ 2,701,560 |
Wisconsin, Transportation Revenue, 5.00%, 7/1/24 | 2,000 | 2,112,780 | |
$ 12,115,119 | |||
Water and Sewer — 1.6% | |||
Kansas City, MO, Sanitary Sewer System Revenue, 5.00%, 1/1/25 | $ | 500 | $ 532,305 |
North Texas Municipal Water District, 5.00%, 9/1/24 | 1,120 | 1,173,469 | |
Raleigh, NC, Combined Enterprise System Revenue, 5.00%, 3/1/26 | 360 | 394,383 | |
San Francisco City and County Public Utilities Commission, CA, Wastewater Revenue, Green Bonds, 2.125% to 10/1/23 (Put Date), 10/1/48 | 2,500 | 2,490,625 | |
$ 4,590,782 | |||
Total Tax-Exempt Municipal Obligations (identified cost $271,967,111) | $262,439,912 | ||
Total Investments — 92.3% (identified cost $271,967,111) | $262,439,912 | ||
Other Assets, Less Liabilities — 7.7% | $ 21,900,072 | ||
Net Assets — 100.0% | $284,339,984 |
The percentage shown for each investment category in the Portfolio of Investments is based on net assets. | |
(1) | When-issued/delayed delivery security. |
(2) | Variable rate demand obligation that may be tendered at par on any day for payment the lesser of 5 business days or 7 calendar days. The stated interest rate, which generally resets weekly, is determined by the remarketing agent and represents the rate in effect at April 30, 2022. |
(3) | Floating rate security. The stated interest rate represents the rate in effect at April 30, 2022. |
(4) | Multi-step coupon security. Interest rate represents the rate in effect at April 30, 2022. |
At April 30, 2022, the concentration of the Fund’s investments in the various states, determined as a percentage of net assets, is as follows: |
Texas | 14.2% |
New York | 13.4% |
California | 10.4% |
Others, representing less than 10% individually | 54.3% |
3
Parametric
TABS Short-Term Municipal Bond Fund
April 30, 2022
Portfolio of Investments (Unaudited) — continued
The Fund invests primarily in debt securities issued by municipalities. The ability of the issuers of the debt securities to meet their obligations may be affected by economic developments in a specific industry or municipality. At April 30, 2022, 3.5% of total investments are backed by bond insurance of various financial institutions and financial guaranty assurance agencies. The aggregate percentage insured by an individual financial institution or financial guaranty assurance agency ranged from 0.8% to 2.8% of total investments. |
Abbreviations: | |
AGM | – Assured Guaranty Municipal Corp. |
BAM | – Build America Mutual Assurance Co. |
Liq | – Liquidity Provider |
LOC | – Letter of Credit |
PSF | – Permanent School Fund |
SIFMA | – Securities Industry and Financial Markets Association Municipal Swap Index |
SPA | – Standby Bond Purchase Agreement |
The Fund did not have any open derivative instruments at April 30, 2022.
Fair Value Measurements
Under generally accepted accounting principles for fair value measurements, a three-tier hierarchy to prioritize the assumptions, referred to as inputs, is used in valuation techniques to measure fair value. The three-tier hierarchy of inputs is summarized in the three broad levels listed below.
• | Level 1 – quoted prices in active markets for identical investments |
• | Level 2 – other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risk, etc.) |
• | Level 3 – significant unobservable inputs (including a fund's own assumptions in determining the fair value of investments) |
In cases where the inputs used to measure fair value fall in different levels of the fair value hierarchy, the level disclosed is determined based on the lowest level input that is significant to the fair value measurement in its entirety. The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
At April 30, 2022, the hierarchy of inputs used in valuing the Fund’s investments and open derivative instruments, which are carried at value, were as follows:
Asset Description | Level 1 | Level 2 | Level 3 | Total |
Tax-Exempt Municipal Obligations | $ — | $262,439,912 | $ — | $262,439,912 |
Total Investments | $ — | $262,439,912 | $ — | $262,439,912 |
For information on the Fund's policy regarding the valuation of investments and other significant accounting policies, please refer to the Fund's most recent financial statements included in its semiannual or annual report to shareholders.
4